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Solving multistage asset investment problems by the sample average approximation method

11 years 5 months ago
Solving multistage asset investment problems by the sample average approximation method
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects the solution quality of multistage stochastic programming problems. We present a new heuristic for determining good feasible solutions for a multistage decision problem. For power and log-utility functions we address the question of how tree structures, number of stages, number of outcomes and number of assets affect the solution quality. We also present a new method for evaluating the quality of first stage decisions. Key words. Stochastic programming
Jörgen Blomvall, Alexander Shapiro
Added 14 Dec 2010
Updated 14 Dec 2010
Type Journal
Year 2006
Where MP
Authors Jörgen Blomvall, Alexander Shapiro
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